酷盖tyq 发表于 2022-1-22 15:44 
前辈,请问下就您写的reghdfe这个代码后面假如用vce(robust)是指普通的稳健性标准误是吗,没有聚类到公司 ...
看帮助里面的解释
vce(vcetype, subopt) specifies the type of standard error reported. Note that all the
advanced estimators rely on asymptotic theory, and will likely have poor performance
with small samples (but again if you are using reghdfe, that is probably not your
case)
unadjusted/ols estimates conventional standard errors, valid even in small samples
under the assumptions of homoscedasticity and no correlation between observations
robust estimates heteroscedasticity-consistent standard errors (Huber/White/sandwich
estimators), but still assuming independence between observations
Warning: in a FE panel regression, using robust will lead to inconsistent standard
errors if for every fixed effect, the other dimension is fixed. For instance, in an
standard panel with individual and time fixed effects, we require both the number of
individuals and time periods to grow asymptotically. If that is not the case, an
alternative may be to use clustered errors, which as discussed below will still have
their own asymptotic requirements. For a discussion, see Stock and Watson,
"Heteroskedasticity-robust standard errors for fixed-effects panel-data regression,"
Econometrica 76 (2008): 155-174
cluster clustervars estimates consistent standard errors even when the observations
are correlated within groups.
Multi-way-clustering is allowed. Thus, you can indicate as many clustervars as desired
(e.g. allowing for intragroup correlation across individuals, time, country, etc).
Each clustervar permits interactions of the type var1#var2 (this is faster than using
egen group() for a one-off regression).
Warning: The number of clusters, for all of the cluster variables, must go off to
infinity. A frequent rule of thumb is that each cluster variable must have at least
50 different categories (the number of categories for each clustervar appears on the
header of the regression table).